Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0570
Annualized Std Dev 0.2373
Annualized Sharpe (Rf=0%) 0.2401

Row

Daily Return Statistics

Close
Observations 3429.0000
NAs 1.0000
Minimum -0.1241
Quartile 1 -0.0053
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0066
Maximum 0.1159
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0149
Skewness -0.3805
Kurtosis 9.4653

Downside Risk

Close
Semi Deviation 0.0109
Gain Deviation 0.0107
Loss Deviation 0.0123
Downside Deviation (MAR=210%) 0.0153
Downside Deviation (Rf=0%) 0.0108
Downside Deviation (0%) 0.0108
Maximum Drawdown 0.6375
Historical VaR (95%) -0.0220
Historical ES (95%) -0.0370
Modified VaR (95%) -0.0230
Modified ES (95%) -0.0432
From Trough To Depth Length To Trough Recovery
2007-07-17 2009-03-06 2012-09-14 -0.6375 1267 379 888
2018-01-29 2020-03-23 2021-01-14 -0.4555 747 541 206
2015-05-05 2016-01-20 2016-11-15 -0.2506 389 180 209
2014-09-02 2014-10-13 2014-12-26 -0.0951 82 30 52
2012-09-17 2012-11-14 2012-12-18 -0.0837 64 41 23

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA -0.3 1.3 -2.6 -1.7 1.1 -2 2.5 -0.6 -2.5
2008 1.8 -3.5 3.5 2.9 1.4 -0.8 -0.6 -0.4 4.1 3.3 -5.8 4.1 9.9
2009 -3 -2 2 1 5.5 0.7 0.2 -1.9 -2.3 -2.6 1.4 -1.1 -2.4
2010 0.6 1 0.8 -1.2 -1.3 -0.6 0.2 3.2 0.4 -0.2 1.8 0 4.5
2011 1.6 -1.3 0.7 0.2 -2 1.4 -0.7 -1.3 -2.1 -3.5 0.1 -0.3 -7.2
2012 1.5 0.7 0.2 0.7 -2.5 2.7 -0.1 0.6 0.3 1.4 0.2 1.9 7.7
2013 0.8 0.2 -0.6 -1.1 -1.4 0.3 1.6 -0.7 0.8 0.3 -0.4 0.4 0
2014 -0.7 0.5 0.5 0.1 0.1 0.3 -0.4 0.5 -1.5 1.1 -0.5 -1.1 -1.1
2015 -0.6 -0.1 0 0.8 -0.1 0.2 -0.2 -2.8 -0.5 0.5 0.8 -0.7 -2.9
2016 0.1 1.8 -0.1 -1.3 0.2 0.3 -0.6 -0.3 1.4 -0.9 0.5 -0.2 0.7
2017 -0.1 1.1 -0.1 -0.2 1.2 0.3 0.2 0.5 0.2 0.5 -0.1 -0.5 2.9
2018 -0.3 -1 1.3 -0.2 0.5 -0.1 -1 0 0 1.3 0.4 0.8 1.6
2019 0.1 0.4 1.6 -1 -1.8 0.7 -2.2 0.3 -2 1.7 -0.6 0.3 -2.6
2020 -2.2 -1.3 -5.2 -5 1.5 -1.5 -0.4 0 0 -0.3 1.1 1 -11.9
2021 0.9 2.2 -0.3 NA NA NA NA NA NA NA NA NA 2.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-05-11  30.0 SPY    151.  0.0086  -0.0004   0.0429   0.0481    0.138    0.386    0.400 GLD    66.4  0.0068 -0.0255 
2 2007-05-17  30.2 SPY    151. -0.002    0.0115   0.0274   0.0377    0.170    0.375    0.378 GLD    65.1 -0.0082 -0.0142 
3 2007-05-22  30.6 SPY    152. -0.0008   0.0123   0.0294   0.0441    0.199    0.395    0.389 GLD    65.2 -0.0069 -0.0198 
4 2007-05-23  30.5 SPY    152.  0.0001   0.0055   0.0292   0.045     0.209    0.391    0.402 GLD    65.5  0.0049 -0.0009 
5 2007-05-24  30.4 SPY    151. -0.0091  -0.0016   0.0106   0.0396    0.207    0.376    0.387 GLD    64.8 -0.0121 -0.00480
6 2007-06-05  30.6 SPY    153. -0.004    0.0082   0.017    0.0987    0.190    0.357    0.471 GLD    66.4 -0.0026  0.02   
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart